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Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models

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  • M. Hashem Pesaran

    (UCLA)

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File URL: http://www.econ.ucla.edu/workingpapers/wp493.pdf
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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Working Papers with number 493.

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Date of creation: 01 Jul 1988
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Handle: RePEc:cla:uclawp:493

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Web page: http://www.econ.ucla.edu/

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  1. Turkington, Darrell A, 1985. "A Note on Two-Stage Least Squares, Three-Stage Least Squares, and Maximum Likelihood Estimation in an Expectations Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 507-10, June.
  2. Zellner, Arnold, 1970. "Estimation of Regression Relationships Containing Unobservable Independent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(3), pages 441-54, October.
  3. Leiderman, Leonardo, 1980. "Macroeconometric testing of the rational expectations and structural neutrality hypotheses for the United States," Journal of Monetary Economics, Elsevier, vol. 6(1), pages 69-82, January.
  4. Frederic S. Mishkin, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," NBER Working Papers 0506, National Bureau of Economic Research, Inc.
  5. Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Wiley Blackwell, vol. 49(1), pages 55-67, January.
  6. Goldberger, Arthur S, 1972. "Maximum-Likelihood Estimation of Regressions Containing Unobservable Independent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(1), pages 1-15, February.
  7. Murphy, Kevin M & Topel, Robert H, 2002. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 88-97, January.
  8. Aigner, Dennis, 1974. "An Appropriate Econometric Framework for Estimating a Labor Supply Function from the SEO File," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 59-68, February.
  9. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
  10. Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
  11. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  12. McCallum, Bennett T, 1976. "Rational Expectations and the Estimation of Econometric Models: AnAlternative Procedure," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 484-90, June.
  13. Abel, Andrew B. & Mishkin, Frederic S., 1983. "An integrated view of tests of rationality, market efficiency and the short-run neutrality of monetary policy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 3-24.
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